Is the Add-On for Microsoft Cloud services compatible with Enterprise version 6.6?
Yes its compatible. You can see the compatibility and support related info on https://splunkbase.splunk.com/app/3110/
According to the documentation, here, it says that the TA is compatible with Splunk Enterprise 6.4, 6.5 and 6.6. However, as always, Splunk recommend that you ALWAYS install the app in dev/test and then test it before putting into production.